Value-at-RiskVaR
0.78
↓
0.009%
from yesterday
Expected ShortfallES
0.97
↓
0.01%
from yesterday
25% Drop Probability25% Drop
1.6%
↓
0.021%
from yesterday
Years Until 25% Drop25% Freq.
64.1years
↑
0.853%
from yesterday
Model RiskModel Risk
1.15
↓
0.022%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.82 | 0.76 | 0.72 | 0.76 | 0.82 | 0.83 | 0.78 | 1.15 |
| ES | 1.09 | 0.87 | 0.83 | 0.87 | 1.03 | 1.13 | 0.97 | 1.36 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
